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Pricing Options With Curved Boundaries

Citations

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Cited by:

  1. Antoon Pelsser, "undated". "Pricing Double Barrier Options: An Analytical Approach," Computing in Economics and Finance 1997 130, Society for Computational Economics.
  2. Hieber, Peter & Scherer, Matthias, 2012. "A note on first-passage times of continuously time-changed Brownian motion," Statistics & Probability Letters, Elsevier, vol. 82(1), pages 165-172.
  3. Choe, Geon Ho & Koo, Ki Hwan, 2014. "Probability of multiple crossings and pricing of double barrier options," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 156-184.
  4. Lian, Guanghua & Zhu, Song-Ping & Elliott, Robert J. & Cui, Zhenyu, 2017. "Semi-analytical valuation for discrete barrier options under time-dependent Lévy processes," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 167-183.
  5. Jun, Doobae & Ku, Hyejin, 2015. "Static hedging of chained-type barrier options," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 317-327.
  6. Caramellino Lucia & Pacchiarotti Barbara, 2002. "Sharp estimates for the hitting probability on time-dependent barriers for a Brownian Motion. Weak approximation of a Brownian motion killed on time-dependent barriers," Monte Carlo Methods and Applications, De Gruyter, vol. 8(3), pages 221-236, December.
  7. Prigent, Jean-Luc & Renault, Olivier & Scaillet, Olivier, 2004. "Option pricing with discrete rebalancing," Journal of Empirical Finance, Elsevier, vol. 11(1), pages 133-161, January.
  8. Igor V. Kravchenko & Vladislav V. Kravchenko & Sergii M. Torba & Jos'e Carlos Dias, 2017. "Pricing double barrier options on homogeneous diffusions: a Neumann series of Bessel functions representation," Papers 1712.08247, arXiv.org.
  9. Taiga Saito, 2016. "Pricing Foreign Exchange Options Under Intervention by Absorption Modeling," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 23(1), pages 85-106, March.
  10. Massimo Costabile, 2001. "A discrete-time algorithm for pricing double barrier options," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 24(1), pages 49-58, May.
  11. Amirhossein Sobhani & Mariyan Milev, 2017. "A Numerical Method for Pricing Discrete Double Barrier Option by Lagrange Interpolation on Jacobi Node," Papers 1712.01060, arXiv.org, revised Feb 2018.
  12. Kensuke Ishitani, 2016. "Computation of first-order Greeks for barrier options using chain rules for Wiener path integrals," Papers 1611.05194, arXiv.org, revised Dec 2016.
  13. Andre Catalao & Rogerio Rosenfeld, 2018. "Analytical Path-Integral Pricing of Moving-Barrier Options under non-Gaussian Distributions," Papers 1804.07852, arXiv.org.
  14. Yongsik Kim & Hyeong-Ohk Bae & Hyeng Keun Koo, 2014. "Option pricing and Greeks via a moving least square meshfree method," Quantitative Finance, Taylor & Francis Journals, vol. 14(10), pages 1753-1764, October.
  15. Kim, Jerim & Kim, Jeongsim & Joo Yoo, Hyun & Kim, Bara, 2015. "Pricing external barrier options in a regime-switching model," Journal of Economic Dynamics and Control, Elsevier, vol. 53(C), pages 123-143.
  16. Fusai, Gianluca & Recchioni, Maria Cristina, 2007. "Analysis of quadrature methods for pricing discrete barrier options," Journal of Economic Dynamics and Control, Elsevier, vol. 31(3), pages 826-860, March.
  17. Zvan, R. & Vetzal, K. R. & Forsyth, P. A., 2000. "PDE methods for pricing barrier options," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1563-1590, October.
  18. M. Krivko & M. V. Tretyakov, 2012. "Application of simplest random walk algorithms for pricing barrier options," Papers 1211.5726, arXiv.org.
  19. Andrew Ming-Long Wang & Yu-Hong Liu & Yi-Long Hsiao, 2009. "Barrier option pricing: a hybrid method approach," Quantitative Finance, Taylor & Francis Journals, vol. 9(3), pages 341-352.
  20. Li, Minqiang & Pearson, Neil D. & Poteshman, Allen M., 2004. "Conditional estimation of diffusion processes," Journal of Financial Economics, Elsevier, vol. 74(1), pages 31-66, October.
  21. Yuh-Dauh Lyuu & Huei-Wen Teng, 2011. "Unbiased and efficient Greeks of financial options," Finance and Stochastics, Springer, vol. 15(1), pages 141-181, January.
  22. José Carlos Dias & João Pedro Vidal Nunes & João Pedro Ruas, 2015. "Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model," Quantitative Finance, Taylor & Francis Journals, vol. 15(12), pages 1995-2010, December.
  23. Doobae Jun & Hyejin Ku, 2013. "Valuation of American partial barrier options," Review of Derivatives Research, Springer, vol. 16(2), pages 167-191, July.
  24. Pavel V. Shevchenko & Pierre Del Moral, 2014. "Valuation of Barrier Options using Sequential Monte Carlo," Papers 1405.5294, arXiv.org, revised Jul 2015.
  25. Tristan Guillaume, 2011. "Some sequential boundary crossing results for geometric Brownian motion and their applications in financial engineering," Post-Print hal-00924277, HAL.
  26. Wai Man Tse & Leong Kwan Li & Kai Wang Ng, 2001. "Pricing Discrete Barrier and Hindsight Options with the Tridiagonal Probability Algorithm," Management Science, INFORMS, vol. 47(3), pages 383-393, March.
  27. C. Atkinson & S. Kazantzaki, 2009. "Double knock-out Asian barrier options which widen or contract as they approach maturity," Quantitative Finance, Taylor & Francis Journals, vol. 9(3), pages 329-340.
  28. Fernández Lexuri & Hieber Peter & Scherer Matthias, 2013. "Double-barrier first-passage times of jump-diffusion processes," Monte Carlo Methods and Applications, De Gruyter, vol. 19(2), pages 107-141, July.
  29. Rahman Farnoosh & Hamidreza Rezazadeh & Amirhossein Sobhani & M. Hossein Beheshti, 2016. "A Numerical Method for Discrete Single Barrier Option Pricing with Time-Dependent Parameters," Computational Economics, Springer;Society for Computational Economics, vol. 48(1), pages 131-145, June.
  30. Farid MKAOUAR & Jean-luc PRIGENT, 2014. "Constant Proportion Portfolio Insurance under Tolerance and Transaction Costs," Working Papers 2014-303, Department of Research, Ipag Business School.
  31. Dmitry Davydov & Vadim Linetsky, 2001. "Pricing and Hedging Path-Dependent Options Under the CEV Process," Management Science, INFORMS, vol. 47(7), pages 949-965, July.
  32. repec:dau:papers:123456789/5374 is not listed on IDEAS
  33. Norland, Erik & Wilford, D. Sykes, 2002. "Leverage, liquidity, volatility, time horizon, and the risk of ruin: A barrier option approach," Review of Financial Economics, Elsevier, vol. 11(3), pages 225-239.
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